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Conditional systemic risk with penalized copula
Okhrin, Ostap; Ristig, Alexander; Sheen, Jeffrey R.; … - 2015
Financial contagion and systemic risk measures are commonly derived from conditional quantiles by using imposed model assumptions such as a linear parametrization. In this paper, we provide model free measures for contagion and systemic risk which are independent of the specifcation of...
Persistent link: https://www.econbiz.de/10011380687
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Properties of hierarchical Archimedean copulas
Okhrin, Ostap; Okhrin, Yarema; Schmid, Wolfgang - 2009
tests and constructing confidence intervals. Furthermore, we analyse dependence orderings, multivariate dependence measures … and extreme value copulas. Special attention we pay to the tail dependencies and derive several tail dependence indices …
Persistent link: https://www.econbiz.de/10010263762
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Building loss models
Burnecki, Krzysztof; Janczura, Joanna; Weron, Rafał - 2010
This paper is intended as a guide to building insurance risk (loss) models. A typical model for insurance risk, the so-called collective risk model, treats the aggregate loss as having a compound distribution with two main components: one characterizing the arrival of claims and another...
Persistent link: https://www.econbiz.de/10010281574
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Copula-based dynamic conditional correlation multiplicative error processes
Bodnar, Taras; Hautsch, Nikolaus - 2012
We introduce a copula-based dynamic model for multivariate processes of (non-negative) high-frequency trading variables revealing time-varying conditional variances and correlations. Modeling the variables' conditional mean processes using a multiplicative error model we map the resulting...
Persistent link: https://www.econbiz.de/10010318750
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Beyond dimension two: A test for higher-order tail risk
Bormann, Carsten; Schienle, Melanie; Schaumburg, Julia - 2014
test to detect when tail dependence is truly high{dimensional and bivariate simpli cations would produce misleading results …. This occurs when a signi cant portion of the multivariate dependence structure in the tails is of higher dimension than two …. Our test statistic is based on a decomposition of the stable tail dependence function, which is standard in extreme value …
Persistent link: https://www.econbiz.de/10010427063
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Solow residuals without capital stocks
Burda, Michael C.; Severgnini, Battista - 2008
For more than fifty years, the Solow decomposition (Solow 1957) has served as the standard measurement of total factor productivity (TFP) growth in economics and management, yet little is known about its precision, especially when the capital stock is poorly measured. Using synthetic data...
Persistent link: https://www.econbiz.de/10010265668
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Product policy and the East-West productivity gap
Görzig, Bernd; Gornig, Martin; Voshage, Ramona; … - 2009
After 20 years of transition from an economy integrated in an exchange scheme of planned economies towards an open market economy based on the ideas of competition, we ask whether East German firms succeeded in finding their place in the international division of labour. We concentrate on the...
Persistent link: https://www.econbiz.de/10010270726
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TFP growth in old and new Europe
Burda, Michael C.; Severgnini, Battista - 2009
Using Solow-Törnqvist residuals as well as two alternative measurements, we present estimates of total factor productivity (TFP) growth in a sample of 30 European economies for the period 1994-2005. In most of Western Europe, we find a deceleration of TFP growth since 2000. However, the...
Persistent link: https://www.econbiz.de/10010270811
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Institutions, bargaining power and labor shares
Bental, Benjamin; Demougin, Dominique M. - 2006
We use a static framework characterized by both moral hazard and holdup problems. In the model the optimal allocation of bargaining power balances these frictions. We examine the impact of improved monitoring on that optimal allocation and its impact upon effort, investment, profits and rents....
Persistent link: https://www.econbiz.de/10010273758
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Dynamic activity analysis model based win-win development forecasting under the environmental regulation in China
Chen, Shiyi; Härdle, Wolfgang Karl - 2012
Porter Hypothesis states that environmental regulation may lead to win-win opportunities, that is, improve the productivity and reduce the undesirable output simultaneously. Based on directional distance function, this paper proposes a novel dynamic activity analysis model to forecast the...
Persistent link: https://www.econbiz.de/10010281522